RT Journal Article
SR Electronic
T1 Brinson-Style Attribution over Continuous Factors
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 216
OP 223
DO 10.3905/jpm.2022.1.446
VO 49
IS 2
A1 Vishv Jeet
A1 Amit Partani
YR 2022
UL https://pm-research.com/content/49/2/216.abstract
AB The authors develop a methodology to perform a Brinson-style attribution over a set of factors that may have continuous exposures to the assets. They show that for a set of factor returns, the Brinson-style allocation and selection effects are synonymous with the factor and specific contributions respectively. This puts an end to an open question of how to make sense of two different kind of attributions, namely, Brinson attribution over sectors and factor attribution over factors. The authors show that they are identical if the factor returns used in the attribution completely explain the underlying benchmark portfolio. Their method is simple, intuitive, and reduces to the standard Brinson attribution for the case of binary factors, such as industry, country, and currency factors.